AN Options History — November 2021

In November 2021, AN traded between $117.99 and $131.07. ATM implied volatility averaged 39.1%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 7.4% (HV 20d: 46.5%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2021-11-17: Highest Volume — 5,284 contracts
  • 2021-11-22: Largest IV spike — 6.9% change
  • 2021-11-30: Highest IV Rank — 51.4%
  • 2021-11-30: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.57$117.99$131.07$123.49$124.87
Max Pain$120.00$115.00$125.00$115.00$125.00
ATM IV39.1%36.4%46.0%36.5%46.0%
Expected Move11.1%10.2%13.2%10.5%13.2%
HV 20d46.5%41.6%57.0%44.2%51.6%
HV 60d42.8%38.3%46.4%42.0%46.4%
IV Rank29.9%21.3%51.4%21.8%51.4%
IV Percentile60.9%42.9%92.9%44.4%92.9%
Term Structure-1.6%-4.1%0.7%-1.0%-2.9%
VWIV39.7%36.2%46.9%37.3%46.9%
Skew 25d2.6%-4.3%8.2%3.0%6.2%
Skew 10d6.3%0.3%15.3%6.8%10.9%
Call IV 25d38.7%34.6%46.7%36.1%43.9%
Put IV 25d41.3%37.6%50.1%39.1%50.1%
Bid-Ask Spread %63.5052.3876.2461.8268.58
Gamma HHI0.140.120.230.140.12
Net GEX1.8M335.9K4.3M2.1M838.1K
Net DEX-43.2M-86.5M-12.4M-45.7M-27.5M
Net VEX-244.6K-280.0K-204.2K-268.8K-232.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.523.332.840.71
Total Volume2,398.6671,1315,2843,8051,131
Total OI23,031.90516,97928,38324,07817,523

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$123.49$115.0036.5%10.5%44.2%21.8%37.3%3.0%-1.0%2.1M-45.7M-268.8K2.8461.82N/AN/A9922,81313,07211,006
2021-11-02$120.48$115.0039.0%11.2%42.1%29.5%40.7%1.7%-2.2%1.5M-32.8M-280.0K3.3363.78N/AN/A9263,08013,02011,137
2021-11-03$122.55$115.0038.0%10.9%42.4%26.3%40.0%2.5%-2.3%2.0M-42.3M-271.3K3.1565.37N/AN/A9372,94713,26911,259
2021-11-04$121.72$120.0037.0%10.2%41.8%23.4%36.5%2.4%-0.6%1.9M-38.9M-266.7K0.8866.43N/AN/A90879513,32011,277
2021-11-05$123.42$120.0038.7%10.3%42.0%28.6%36.9%3.1%-1.0%2.1M-46.6M-267.8K0.5265.93N/AN/A1,52579313,37911,319
2021-11-08$122.45$120.0038.8%10.9%42.1%29.0%37.7%2.4%-1.0%2.0M-41.7M-253.7K0.6852.38N/AN/A1,22082613,38811,438
2021-11-09$125.13$120.0038.6%11.0%42.4%28.1%38.4%3.0%-1.2%2.5M-55.2M-248.5K0.6753.31N/AN/A1,34489713,36711,522
2021-11-10$124.15$120.0036.4%10.4%41.7%21.3%38.8%-0.3%-1.8%2.2M-48.1M-240.0K1.0059.61N/AN/A1,0501,04713,51511,607
2021-11-11$125.00$120.0037.5%10.8%41.6%24.9%38.8%3.0%-1.2%2.4M-51.5M-249.7K0.9158.38N/AN/A89181513,53611,717
2021-11-12$128.98$120.0037.2%10.7%42.8%23.9%38.1%4.2%-2.3%3.3M-73.5M-239.6K0.6957.81N/AN/A1,18681913,50511,788
2021-11-15$128.80$120.0036.7%10.5%42.8%22.3%37.5%2.3%-0.6%3.6M-73.1M-226.5K0.7156.71N/AN/A98769813,55611,690
2021-11-16$131.07$120.0036.9%10.6%42.1%23.0%37.4%4.1%-0.6%4.3M-86.5M-204.2K1.2159.70N/AN/A1,0321,24513,58311,791
2021-11-17$118.31$125.0037.7%10.8%57.0%25.4%36.2%4.3%0.7%737.6K-12.4M-228.4K1.8775.19N/AN/A1,8433,44113,59512,374
2021-11-18$120.93$120.0037.3%10.7%50.1%24.4%39.2%2.2%0.2%812.2K-27.9M-239.0K1.3869.63N/AN/A1,7122,35413,89913,848
2021-11-19$117.99$120.0038.7%11.1%49.1%28.5%38.8%1.1%-0.9%335.9K-16.2M-239.4K1.3165.64N/AN/A1,0291,34814,48913,894
2021-11-22$126.35$120.0041.3%11.9%55.4%36.9%41.1%2.1%-3.8%1.0M-35.4M-236.8K0.8765.28N/AN/A1,0138828,3398,640
2021-11-23$127.73$120.0040.8%11.7%52.8%35.2%41.6%1.6%-4.1%1.1M-38.1M-234.3K1.1968.67N/AN/A6527758,3718,621
2021-11-24$126.85$120.0041.2%11.8%51.1%36.4%42.3%-4.3%-1.4%973.7K-36.0M-243.6K1.0866.29N/AN/A7067598,3988,733
2021-11-26$127.92$120.0043.1%12.4%51.1%42.4%44.9%8.2%-2.7%1.0M-39.0M-239.1K0.8576.24N/AN/A8257008,5898,875
2021-11-29$127.75$125.0044.1%12.6%51.1%45.5%45.2%1.2%-3.2%1.1M-37.8M-225.7K0.9456.73N/AN/A7386918,5148,907
2021-11-30$124.87$125.0046.0%13.2%51.6%51.4%46.9%6.2%-2.9%838.1K-27.5M-232.7K0.7168.58N/AN/A6604718,5149,009